BPCE - Risk Report - Pillar III 2020
CREDIT RISKS
DETAILED QUANTITATIVE DISCLOSURES
12/31/2019
Exposures before CCF and CRM Credit risk
Credit risk mitigation techniques affecting the amount of the exposure
Value of off-balance sheet items by conversion factor
Exposures post CCF and CRM
RWAs and RWA density
mitigation techniques subject to a substitution approach
On- balance sheet amount
Off- balance
On- balance sheet amount
Off- balance
sheet items
sheet items
RWA density
0% 20% 50% 100%
RWAs
in millions of euros
Central governments or central banks Regional governments or local authorities Public sector entities Multilateral development banks International organizations
80,634
30
12,056
-
-
9
218
-
92,493
111
5,729
0
46,042 4,755 18,658 2,481
10,298 (1,817)
-
- -
2,251 2,866 785 1,451
30 55,948 1,914 360 16,663 1,243
12,102
21% 21%
(64)
3,805
5
182 982
- -
83
- -
- -
- -
7
- -
258 982
4
- -
0% 0%
-
-
-
Institutions
9,739 3,899
632
(3)
32
47 2,752 1,094 10,342 2,480
1,497
12% 25% 84% 72%
Covered bonds
232
-
-
-
-
-
-
-
232
-
57
Corporates
77,264 27,670 10,327 14,540
(7,445)
(2,000)
381 7,172 15,777 3,630 68,529 12,953
68,755
Retail
(659)
(632) 11,994 1,766
491
205 9,120
804
7,108
Equity exposures
22
-
-
-
-
-
-
-
22
-
22
100%
Collective investment undertakings
734
3 1
- -
- -
- -
-
- -
3
734
3
802
109%
Other exposures
7,132
1
-
7,132
-
6,171
87%
Claims on institutions and corporates with a short-term credit assessment Exposures secured by mortgages on immovable property Items associated with particularly high risk
481
16
(43)
-
-
16
1
-
436
3
267
61%
65,046 2,353
(10,503)
(8)
-
25 2,127
14 54,721 1,083
22,486
40%
6,782 3,004
(221) (984) 1,398
(44) (26)
-
90 2,811
-
6,620 1,424
12,065
150% 113%
Exposures in default
4,531
355
14
55
107
165 3,535
230
4,252
TOTAL
328,789 59,106
(2,776) 12,421 12,216 28,609 5,504 327,766 22,251 145,117
41%
129
RISK REPORT PILLAR III 2020 | GROUPE BPCE
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